SYMMETRY PROPERTIES OF MODIFIED BLACK-SCHOLES EQUATION
SYMMETRY PROPERTIES OF MODIFIED BLACK-SCHOLES EQUATION
Author(s): Maciej Janowicz, Andrzej ZembrzuskiSubject(s): Economy, Methodology and research technology
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: Black-Scholes equation; Lie symmetries; creation operator;
Summary/Abstract: This paper concerns the classical and conditional symmetries of the Black-Scholes equation. Modifications of the Black-Scholes equation have also been considered and their maximal algebras of invariance have been found. Examples of creation operators for the Black-Scholes eigenvalue problem have been provided.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XXII/2021
- Issue No: 2
- Page Range: 77-86
- Page Count: 10
- Language: English